Cross-Country Evidence on the Causal Relationship between Policy Uncertainty and Housing Prices

Montasser, Ghassen El; Ajmi, Ahdi Noomen; Chang, Tsangyao; Simo-Kengne, Beatrice Desiree; André, Christophe; Gupta, Rangan

doi:10.1080/10835547.2016.12092119

Cited by 37 publications

(22 citation statements)

References 15 publications

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“…The EPU index reflects fiscal, monetary and regulatory policy uncertainties, which are bound to affect households’ housing investment decision and access to credit, and thereby impacting housing prices (El‐Montasser et al . ). According to Aye, Clance and Gupta (2017), one of the main advantages of the EPU index is that it is not model‐specific, so does not require any complicated estimation of a large‐scale model to generate it.…”

Section: Introductionmentioning

confidence: 97%

“…Combined, these decisions in response to uncertainty can cause a sharp slowdown in demand and prices in the housing markets (Ramcharan ); however, El‐Montasser et al . () assert that an increase in uncertainty may also result in higher demand for houses, which in turn inflates house prices. This will happen if demand for other assets is more sensitive to uncertainty.…”

Section: Introductionmentioning

confidence: 99%

“…Following Poterba () and El‐Montasser et al . (), the discount rate or user cost of housing in countries (such as England and Wales), where mortgage interest and property tax are not deductible from taxable income can be written as ,

u c = δ + γ + i + μ - \prod,

…”

Section: Introductionmentioning

confidence: 99%

“…According to El‐Montasser et al . (), several of the parameters in the user cost formula are affected by the EPU. The expected nominal housing price inflation rate is influenced by uncertainty surrounding any determinant of housing price, including income, interest rates and housing market regulations, among others.…”

Section: Introductionmentioning

confidence: 99%

“…El‐Montasser et al . () provide a study of causality between cross‐country house prices and economic policy uncertainty. Aye, Clance and Gupta () study the effect of economic policy uncertainty on the housing market cycle of 12 Organisation for Economic Co‐operation and Development countries.…”

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confidence: 99%

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Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales

Choudhry

2018

Real Estate Economics

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This article empirically investigates the effect of the economic policy uncertainty on house prices across 10 different geographical regions of England and Wales. The empirical study is conducted by means of the autoregressive distributed lag bounds cointegration test. Results show a stable long-run relationship (cointegration) between house prices and its determinants (including economic policy uncertainty) in nine of the regions. Results also evince longand short-term negative effect of uncertainty to house prices. These results clearly indicate the importance of economic policy uncertainty in the determination of UK house prices and demand.

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Section: Introductionmentioning

confidence: 97%

Section: Introductionmentioning

confidence: 99%

u c = δ + γ + i + μ - \prod,

…”

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales

Choudhry

2018

Real Estate Economics

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Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis

Salisu

Gupta

Ogbonna

et al. 2022

Journal of Forecasting

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Time and frequency co‐movement between economic policy uncertainty and inflation: Evidence from Japan

Athari

Kırıkkaleli

Yousaf

et al. 2021

Journal of Public Affairs

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This study examines the time-frequency causal link between economic policy uncertainty and inflation in Japan while answering the following questions: (i) is there any causal link between economic policy uncertainty and inflation in Japan? (ii) if yes, in which direction(s)? To the best of our knowledge, this is the first study that conducts this nexus. To do so, this study employs the wavelet coherence causality test and focuses on the wide range period from 2003:03 to 2021:03, in which Japan was experienced the specific Quantitative and Qualitative Monetary Easing Policies.Overall, the findings mirror that economic policy uncertainty is an essential predictor of inflation in Japan, and economic policy uncertainty leads to inflation at different periods and frequencies. The results of this study are crucial for policy decision-making, monetary authorities, and central banks, and Japan should reduce uncertainty about economic policies to curb the possible risk of inflation rises. The policymakers in Japan can control the inflation rate fluctuation if they can ensure a more reliable prediction of economic policies.

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Cross-Country Evidence on the Causal Relationship between Policy Uncertainty and Housing Prices

Cited by 37 publications

References 15 publications

Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales

Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales

Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis

Time and frequency co‐movement between economic policy uncertainty and inflation: Evidence from Japan

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